Gibbs Sampling for near-VAR
Posted: Mon Sep 17, 2012 3:23 pmThis is a revised version of the MonteSUR program (for doing impulse responses on a near-SUR model). It estimates the model using Gibbs sampling and uses the @MCGraphIRF procedure for doing the graphs. This uses a standard Choleski factorization. For a near-VAR with a structural contemporaneous model, see http://www.estima.com/forum/viewtopic.php?f=8&t=1582.
The use of the SUR-Gibbs procedures is described in greater detail in the Bayesian Econometrics e-course (http://www.estima.com/forum/viewtopic.php?f=24&t=483).
montesur.rpf- Program file
- (2.07 KiB) Downloaded 33 times
- haversample.rat
- Data file
- (223 KiB) Downloaded 47 times
- surgibbssetup.src
- Required procedures
- (5.1 KiB) Downloaded 166 times
The use of the SUR-Gibbs procedures is described in greater detail in the Bayesian Econometrics e-course (http://www.estima.com/forum/viewtopic.php?f=24&t=483).